Description 
On June 3 2003, a Tbill with a $100,000 face value matures in 90 days (maturity date is September 1 2003). The accrual basis is actual/360. If the current price is $98.50, then the yield is calculated as follows: 




Function Specification 
=oMMdisc_Yield(98.50, 1, "3/6/03", "1/9/03", 100000, 1, 0) 




Solution 
The yield of the instrument is calculated using the money market pricing formula: where: and where the maturity proceeds is instrument's face value. 



The following results are obtained from setting the output flag to 0. 

Yield 
0.0609137 

Dollar Discount 
1500.0000 

Days to Maturity 
90 

Macaulay Duration 
0.250000 

Modified Duration 
0.246250 

Convexity 
0.121278 

Price Value of a Basis Point 
24.25563 



For further details on how the above prices and statistics are calculated, see the money market formula. 



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